Divergence Functions in Dually Flat Spaces and Their Properties

In the field of statistics, many kind of divergence functions have been studied as an amount which measures the discrepancy between two probability distributions. In the differential geometrical approach in statistics (information geometry), dually flat spaces play a key role. In a dually flat space, there exist dual affine coordinate systems and strictly convex functions called potential and a canonical divergence is naturally introduced as a function of the affine coordinates and potentials. The canonical divergence satisfies a relational expression called triangular relation. This can be regarded as a generalization of the law of cosines in Euclidean space.In this paper, we newly introduce two kinds of divergences. The first divergence is a function of affine coordinates and it is consistent with the Jeffreys divergence for exponential or mixture families. For this divergence, we show that more relational equations and theorems similar to Euclidean space hold in addition to the law of cosines. The second divergences are functions of potentials and they are consistent with the Bhattacharyya distance for exponential families and are consistent with the Jensen-Shannon divergence for mixture families respectively. We derive an inequality between the the first and the second divergences and show that the inequality is a generalization of Lin's inequality.

SYMPLECTIC STRUCTURES ON STATISTICAL MANIFOLDS

A relationship between symplectic geometry and information geometry is studied. The square of a dually flat space admits a natural symplectic structure that is the pullback of the canonical symplectic structure on the cotangent bundle of the dually flat space via the canonical divergence. With respect to the symplectic structure, there exists a moment map whose image is the dually flat space. As an example, we obtain a duality relation between the Fubini–Study metric on a projective space and the Fisher metric on a statistical model on a finite set. Conversely, a dually flat space admitting a symplectic structure is locally symplectically isomorphic to the cotangent bundle with the canonical symplectic structure of some dually flat space. We also discuss nonparametric cases.

Information geometry of divergence functions

Information geometry of divergence functionsMeasures of divergence between two points play a key role in many engineering problems. One such measure is a distance function, but there are many important measures which do not satisfy the properties of the distance. The Bregman divergence, Kullback-Leibler divergence andf-divergence are such measures. In the present article, we study the differential-geometrical structure of a manifold induced by a divergence function. It consists of a Riemannian metric, and a pair of dually coupled affine connections, which are studied in information geometry. The class of Bregman divergences are characterized by a dually flat structure, which is originated from the Legendre duality. A dually flat space admits a generalized Pythagorean theorem. The class off-divergences, defined on a manifold of probability distributions, is characterized by information monotonicity, and the Kullback-Leibler divergence belongs to the intersection of both classes. Thef-divergence always gives the α-geometry, which consists of the Fisher information metric and a dual pair of ±α-connections. The α-divergence is a special class off-divergences. This is unique, sitting at the intersection of thef-divergence and Bregman divergence classes in a manifold of positive measures. The geometry derived from the Tsallisq-entropy and related divergences are also addressed.